research
∙
03/15/2023
Probabilistic forecasting with Factor Quantile Regression: Application to electricity trading
This paper presents a novel approach for constructing probabilistic fore...
share
research
∙
07/11/2022
LASSO Principal Component Averaging – a fully automated approach for point forecast pooling
This paper develops a novel, fully automated forecast averaging scheme, ...
research
∙
06/08/2022
Identification testing via sample splitting – an application to Structural VAR models
In this article, a novel identification test is proposed, which can be a...
research
∙
04/25/2022